Test of Unit Root for Bounded AR (2) Model
Sayed Meshaal El-Sayed
Department of Applied Statistics and Econometrics, Faculty of Graduate Studies for Statistical Research, Cairo University, Egypt.
Ahmed Amin EL- Sheikh *
Department of Applied Statistics and Econometrics, Faculty of Graduate Studies for Statistical Research, Cairo University, Egypt.
Mohammed Ahmed Farouk Ahmed
High Institute of Computer and Information Technology, Al-Shorouk Academy, Cairo, Egypt.
*Author to whom correspondence should be addressed.
Abstract
In this paper, the test of unit root for bounded AR (2) model with constant term and dependent errors has been derived. Asymptotic distributions of OLS estimators and t-type statistics under different tests of hypotheses have been derived. A simulation study has been established to compare between different tests of the unit root. Mean squared error (MSE) and Thiel's inequality coefficient (Thiel’s U) have been considered as criteria of comparison.
Keywords: Bounded AR (2) model, asymptotic distributions, OLS estimators, mean squared error, Thiel's inequality coefficient, t-type statistics